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The Journal of Structured Finance

The Journal of Structured Finance

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Article

Loan Modification Performance:
A Multivariate Review Approach

Scott Anderson, Bernadette Kogler and Diana Kim
The Journal of Structured Finance Summer 2012, 18 (2) 33-49; DOI: https://doi.org/10.3905/jsf.2012.18.2.033
Scott Anderson
is a managing director at RiskSpan in Vienna, VA. sanderson@riskspan.com
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  • For correspondence: sanderson@riskspan.com
Bernadette Kogler
is president at RiskSpan in Vienna, VA. bkogler@riskspan.com
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  • For correspondence: bkogler@riskspan.com
Diana Kim
is an analyst at RiskSpan in Vienna, VA. dianakim@riskspan.com
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  • For correspondence: dianakim@riskspan.com
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Abstract

Since 2008, the housing finance industry has initiated a wide array of mortgage modification programs that have had varying degrees of success. With a significant portion of loans that are currently performing having already received modifications and the prospect for further modifications on distressed mortgages, it is important for investors, servicers, and risk managers (in both the private and public sectors) to have a robust framework for thinking about the future performance of modified mortgages. This article highlights the authors’ research on loan modification performance, which looks at loan and modification characteristics as well as the timing of the modifications to identify key drivers of the redefault rate. The authors find evidence to support the widely held view that modifications that include principal forgiveness and result in significant reductions in payment requirements produce lower re-default rates. They also find evidence suggesting the better performance of recently initiated modifications is not just a function of more effective modification terms but also of the improving macroeconomic climate.

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The Journal of Structured Finance: 18 (2)
The Journal of Structured Finance
Vol. 18, Issue 2
Summer 2012
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Loan Modification Performance:
A Multivariate Review Approach
Scott Anderson, Bernadette Kogler, Diana Kim
The Journal of Structured Finance Jul 2012, 18 (2) 33-49; DOI: 10.3905/jsf.2012.18.2.033

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Loan Modification Performance:
A Multivariate Review Approach
Scott Anderson, Bernadette Kogler, Diana Kim
The Journal of Structured Finance Jul 2012, 18 (2) 33-49; DOI: 10.3905/jsf.2012.18.2.033
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  • Article
    • Abstract
    • BACKGROUND
    • OVERVIEW OF CHALLENGES
    • RE-DEFAULT RATE ANALYSIS
    • REGRESSION ANALYSIS
    • SUMMARY OF RESULTS
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
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